Skip to main content

Main menu

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JSF
    • Editorial Board
    • Published Ahead of Print (PAP)
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

User menu

  • Sample our Content
  • Request a demo
  • Log in

Search

  • ADVANCED SEARCH: Discover more content by journal, author or time frame
The Journal of Structured Finance
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Sample our Content
  • Request a demo
  • Log in
The Journal of Structured Finance

The Journal of Structured Finance

ADVANCED SEARCH: Discover more content by journal, author or time frame

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JSF
    • Editorial Board
    • Published Ahead of Print (PAP)
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

Life Settlement Value Profiles across Different Death Rate Distributions

Carlos E. Ortiz, Charles A. Stone and Anne Zissu
The Journal of Structured Finance Fall 2018, 24 (3) 100-110; DOI: https://doi.org/10.3905/jsf.2018.24.3.100
Carlos E. Ortiz
is a professor in the Department of Mathematics and Computer Science at Arcadia University in Glenside, PA
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
Charles A. Stone
is a professor in the Koppelman School of Business at Brooklyn College of City University of New York in New York, NY
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
Anne Zissu
is a professor in the Department of Business at Citytech at City University of New York and the Department of Finance and Risk Engineering at NYU Tandon School of Engineering in New York, NY
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
Loading

Click to login and read the full article.

Don’t have access? Click here to request a demo 
Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
UK: 0207 139 1600

Abstract

The life settlement asset class is a recognized part of the alternative investment market. Our article offers insight into the behavior of portfolios of life settlement contracts. We focus on the value profiles of pools of life settlement contracts in the value/cost of capital space. A pool of life settlement contracts has a death rate distribution that will determine the amount of premiums that must be paid each period and the amount of death benefits that will be collected each period. Because value is determined by the timing, magnitude, and certainty of the cash flows generated by an asset, it is inexorably linked to the timing of the life settlers’ deaths. We show that when certain conditions are met, pools with fundamentally different underlying mortality rates and risk profiles, but with the same cost of capital, can have the same value (pivot point in the value/cost of capital space). This pivot point can be useful for fund managers seeking to modify a portfolio of life settlements under a specific cost-of-capital constraint.

TOPICS: Wealth management, statistical methods, portfolio construction

  • © 2018 Pageant Media Ltd
View Full Text

Don’t have access? Click here to request a demo

Alternatively, Call a member of the team to discuss membership options

US and Overseas: +1 646-931-9045

UK: 0207 139 1600

Log in using your username and password

Forgot your user name or password?
PreviousNext
Back to top

Explore our content to discover more relevant research

  • By topic
  • Across journals
  • From the experts
  • Monthly highlights
  • Special collections

In this issue

The Journal of Structured Finance: 24 (3)
The Journal of Structured Finance
Vol. 24, Issue 3
Fall 2018
  • Table of Contents
  • Index by author
  • Complete Issue (PDF)
Print
Download PDF
Article Alerts
Sign In to Email Alerts with your Email Address
Email Article

Thank you for your interest in spreading the word on The Journal of Structured Finance.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Enter multiple addresses on separate lines or separate them with commas.
Life Settlement Value Profiles across Different Death Rate Distributions
(Your Name) has sent you a message from The Journal of Structured Finance
(Your Name) thought you would like to see the The Journal of Structured Finance web site.
CAPTCHA
This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.
Citation Tools
Life Settlement Value Profiles across Different Death Rate Distributions
Carlos E. Ortiz, Charles A. Stone, Anne Zissu
The Journal of Structured Finance Oct 2018, 24 (3) 100-110; DOI: 10.3905/jsf.2018.24.3.100

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
Life Settlement Value Profiles across Different Death Rate Distributions
Carlos E. Ortiz, Charles A. Stone, Anne Zissu
The Journal of Structured Finance Oct 2018, 24 (3) 100-110; DOI: 10.3905/jsf.2018.24.3.100
del.icio.us logo Digg logo Reddit logo Twitter logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
    • Abstract
    • LIFE SETTLEMENT POLICIES TRANSACTIONS
    • MODEL
    • UNDER WHAT CONDITIONS DOES EQUATION (2c) WORK?
    • SENSITIVITY ANALYSIS OF THE PIVOT POINT COST OF CAPITAL TO CHANGES IN PREMIUM
    • SENSITIVITY ANALYSIS OF THE PIVOT POINT COST OF CAPITAL TO CHANGES IN DEATH BENEFITS
    • SIMULATIONS
    • LIFE SETTLEMENT INVESTMENTS
    • CONCLUSION
    • ENDNOTES
    • REFERENCES
  • Info & Metrics
  • PDF (Subscribers Only)
  • PDF (Subscribers Only)

Similar Articles

Cited By...

  • No citing articles found.
  • Google Scholar
LONDON
One London Wall, London, EC2Y 5EA
United Kingdom
+44 207 139 1600
 
NEW YORK
41 Madison Avenue, New York, NY 10010
USA
+1 646 931 9045
pm-research@pageantmedia.com
 

Stay Connected

  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

MORE FROM PMR

  • Home
  • Awards
  • Investment Guides
  • Videos
  • About PMR

INFORMATION FOR

  • Academics
  • Agents
  • Authors
  • Content Usage Terms

GET INVOLVED

  • Advertise
  • Publish
  • Article Licensing
  • Contact Us
  • Subscribe Now
  • Log In
  • Update your profile
  • Give us your feedback

© 2022 Pageant Media Ltd | All Rights Reserved | ISSN: 1551-9783 | E-ISSN: 2374-1325

  • Site Map
  • Terms & Conditions
  • Cookies
  • Privacy Policy